Setsuna's death, her brain degenerated till she died, Harukawa lived with the guilt of not saving her. The revelation that Sicks had a hand in this, makes it all the more tragic.
The entire conclusion of the HAL arc, really - the fact that, even if his plan had succeeded, Harukawa wouldn't have been able to meet her again in his lifetime; HAL knowing it's impossible, but still having to try, to the point where it sounds like he's asking Yako for a Mercy Kill by telling her to delete him; and finally, HAL seeing a vision of Setsuna in the split second before he's wiped out.
Towards its end, the manga version pulls out all the stops. Sasazuka's death at the hands of Sicks, Honjou's suicide, Yako's subsequent breakdown and the death of X shortly after he finally regains his memories of Ai. It's really hard to choose which is worst.
Sai's last transformation being Sasazuka and his "I don't regret anything" speech.